The Research On Investment Style Drift Of Chinese Open-end Fund

The fund proceeding to securities investment in the manner of asset portfolio, originating in the late18th century and the early19th century Britain, which developed in the1920s in the middle of the United States, now has become a global financial system and is an important part of indispensable by extensive attention.Chinese fund industry going though the exploring stage before the issuance of,"the administration of securities investment funds tentative procedures", the closed-end fund development stage, and open-end fund stage development after the September2001, especially the period when the open-end fund and gradually replaces closed-end fund and becomes fund market, makes mainstream breakneck development. Fund company quantity is increasing and investment variety has become increasingly rich and colorful. With them, funds, especially the competition between the open-end fund also increasingly intensify. In order to give prominence to the fund characteristic, establishing the brand image to get investors, now almost all the open-end fund will be in its statement to recruit manual fund’s investment style, to satisfy investors different risk preference income. However, in the actual investment process, open mode fund and cannot complete according to its prior claim, but the style of investment with changing market changes its style, and fund investment style drift phenomena emerges. This phenomenon will make investors faced unexpected risks, and damage its interests of its launch, so it is very important to study the practical significance.This essay generally can be divided into the theoretical analysis and empirical research. Theoretical part firstly proposes the definitions of fund investment style, based on that to classify the funds and points out the characteristics of investment styles, then uses portfolio theory, behavioral finance theory and principal-agent theory to expound the foundation of related theory of the open-end fund. Then analyse the main identification method of fund investment style:HBS analysis, RBS analysis and Gruber regression recognition method, and also summary and analyse the actual use of its advantages and limitations of existing carries. Empirical part selects56open-end fund established before31June2006of none index stocks as research object; Research devide into four different times:the bull market of October1,2006-October200716; October17,2007to October31,2008the bear market; November1,2008to August1,2009the little bull market; on August2,2009to August31,2010the price adjustment stage. First of all, It identifies the fund investment style in the name of the sample, then based on the forestall recognition method to compare, and with practice choose Gruber regression recognizing method to identify the actual investment style. It is concluded that the most open-end fund actual investment is not inconsistent with its nominal style. The conclusion shows that open-end fund investment style drift phenomenon is serious. After that, using the alpha value in the Gruber regression analysis as measure standard to research fund style drift achievement influence, finds that the effect cannot treat as the same, but there is a reasonable place. In the bull market, The fund performance of producing drift is best; In a bear market, The fund performance of producing drift is poor; And in adjustment stage, there is no significant influence. Finally, to analyse the reason of fund investment style drift phenomena, we find that It is closely related with China securities market characteristics, the fund of operational mechanism, the evaluation system, the fund manager’s pressure and investors investment philosophy...